EconPapers    
Economics at your fingertips  
 

An Alternative Way of ComputingEfficient Instrumental VariableEstimators

Xiaohong Chen (), David Jacho-Chávez () and Oliver Linton ()

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: A new way of constructing efficient semiparametric instrumental variableestimators is proposed. The method involves the combination of a large number ofpossibly inefficient estimators rather than combining the instruments into anoptimal instrument function. The consistency and asymptotic normality isestablished for a class of estimators that are linear combinations of a set ofv?? ??consistent estimators whose cardinality increases with sample size. It is shown thatthe semiparametrically efficient estimator lies in this class. The proofs do not relyon smoothness of underlying criterion functions. Potential use of the estimator canovercome the undersized sample problem. in simultaneous equation systemestimation.

Keywords: Instrumental Variables; Minimum Distance; Semiparametric Efficiency; Two-Stage Least Squares (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
Date: 2009-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://sticerd.lse.ac.uk/dps/em/em536.pdf (application/pdf)

Related works:
Working Paper: An alternative way of computing efficient instrumental variable estimators (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:536

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().

 
Page updated 2021-04-14
Handle: RePEc:cep:stiecm:536